Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0079 |
| Annualized Std Dev | 0.0252 |
| Annualized Sharpe (Rf=0%) | 0.3121 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2913.0000 |
| NAs | 1.0000 |
| Minimum | -0.0187 |
| Quartile 1 | -0.0007 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0008 |
| Maximum | 0.0179 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0016 |
| Skewness | -0.2648 |
| Kurtosis | 21.1003 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0011 |
| Gain Deviation | 0.0011 |
| Loss Deviation | 0.0013 |
| Downside Deviation (MAR=210%) | 0.0084 |
| Downside Deviation (Rf=0%) | 0.0011 |
| Downside Deviation (0%) | 0.0011 |
| Maximum Drawdown | 0.0889 |
| Historical VaR (95%) | -0.0022 |
| Historical ES (95%) | -0.0037 |
| Modified VaR (95%) | -0.0020 |
| Modified ES (95%) | -0.0020 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-09-17 | 2020-03-18 | 2021-01-15 | -0.0889 | 2097 | 1887 | 210 |
| 2011-04-29 | 2011-10-10 | 2012-02-27 | -0.0232 | 209 | 114 | 95 |
| 2010-10-15 | 2010-12-10 | 2011-02-22 | -0.0201 | 89 | 40 | 49 |
| 2012-03-13 | 2012-06-29 | 2012-09-13 | -0.0170 | 129 | 77 | 52 |
| 2010-05-07 | 2010-06-02 | 2010-08-10 | -0.0140 | 66 | 18 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | 0.2 | 0.2 | 0 | 0 | 0 | 0.4 |
| 2010 | 0.1 | 0 | 0 | 0.1 | -0.1 | -0.3 | 0.2 | -0.1 | 0 | 0.1 | -0.3 | 0.2 | -0.1 |
| 2011 | -0.1 | 0.2 | 0.1 | -0.4 | 0.2 | 0.1 | 0.3 | 0.4 | -0.2 | 0.2 | 0.1 | 0.1 | 0.9 |
| 2012 | 0.1 | -0.1 | -0.1 | 0 | -0.2 | -0.2 | 0 | 0.3 | 0.1 | 0.1 | 0 | -0.1 | -0.2 |
| 2013 | 0.1 | 0 | 0 | -0.2 | 0.1 | 0.3 | -0.1 | -0.2 | -0.1 | -0.3 | -0.2 | 0 | -0.5 |
| 2014 | 0.1 | 0 | -0.1 | 0 | -0.3 | 0 | 0.2 | -0.1 | 0.3 | 0 | 0 | 0.2 | 0.2 |
| 2015 | 0.3 | 0.3 | 0.3 | -0.2 | -0.2 | -0.2 | -0.1 | 0 | 0.1 | 0 | 0.2 | 0.4 | 1 |
| 2016 | -0.2 | -0.1 | 0 | -0.1 | -0.1 | 0.1 | -0.6 | -0.3 | 0 | 0 | -0.1 | 0.2 | -1.3 |
| 2017 | 0 | -0.2 | 0.1 | -0.2 | -0.1 | -0.1 | 0 | -0.1 | -0.2 | -0.1 | -0.3 | 0.1 | -1 |
| 2018 | -0.2 | 0.3 | 0.1 | -0.4 | -0.3 | 0.1 | -0.4 | 0.1 | 0 | -0.2 | -0.1 | 0.1 | -1 |
| 2019 | -0.1 | -0.2 | 0 | -0.1 | 0.3 | -0.4 | 0 | -0.1 | -0.2 | 0 | -0.1 | -0.1 | -1 |
| 2020 | 0.2 | 0.1 | -0.1 | -0.4 | 0 | 0 | 0.1 | -0.5 | -0.4 | 0 | -0.1 | 0.1 | -1.1 |
| 2021 | -0.1 | 0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-08-21 50.0 SPY 103. 0.0196 0.0216 0.0544 0.157 -0.194 -0.209 -0.068 GLD 93.6 1.50e-2 0.007
2 2009-08-24 50.0 SPY 103. -0.0001 0.0473 0.05 0.128 -0.206 -0.209 -0.0657 GLD 92.3 -1.40e-2 0.008
3 2009-08-25 50.0 SPY 103. 0.0019 0.0411 0.0489 0.150 -0.188 -0.205 -0.0652 GLD 92.8 4.50e-3 0.0076
4 2009-08-26 50.0 SPY 103. 0.0001 0.0321 0.0539 0.135 -0.190 -0.204 -0.0714 GLD 92.8 3.00e-4 0.0028
5 2009-08-27 50.0 SPY 103. 0.0022 0.0239 0.0589 0.118 -0.196 -0.204 -0.0693 GLD 93.2 4.30e-3 0.01
6 2009-08-28 50.0 SPY 103. -0.0002 0.004 0.0477 0.0909 -0.206 -0.207 -0.0724 GLD 93.9 7.30e-3 0.0023
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
